Asset Allocation
Asset allocation is not available
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in HL US RISK MITIGATION, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio HL US RISK MITIGATION | — | — | — | — | — | — | — | — |
| Portfolio components: | ||||||||
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.22% | 0.40% | 0.62% | ||||||||||
| 2023 | -1.45% | 1.70% | 0.38% | 0.40% | 0.41% | -0.03% | 0.02% | 1.11% | 1.50% | 0.83% | 0.52% | 0.51% | 6.02% |
| 2022 | -0.06% | 0.42% | 0.08% | 4.52% | 1.22% | 3.42% | -0.50% | 2.28% | 3.98% | -4.86% | 0.87% | 0.87% | 12.57% |
| 2021 | 0.00% | 0.00% | -1.71% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 1.69% | -0.66% | 0.00% | -0.87% | -1.57% |
| 2020 | 0.16% | 4.49% | 1.47% | -2.39% | 0.07% | 1.87% | 0.02% | 0.01% | 0.32% | 0.25% | -0.62% | 0.00% | 5.63% |
| 2019 | 0.22% | 0.20% | 0.20% | 0.20% | 2.14% | -1.17% | 0.20% | 1.35% | 0.16% | -1.72% | 0.14% | 0.15% | 2.03% |
Benchmark Metrics
HL US RISK MITIGATION has an annualized alpha of 5.32%, beta of -0.23, and R² of 0.46 versus S&P 500 Index. Calculated based on daily prices since January 02, 2008.
- This portfolio tended to rise when S&P 500 Index fell (downside capture of -30.99%), but participation in market rallies was also limited (-4.59%) — a profile typical of counter-cyclical assets.
- Beta of -0.23 may look defensive, but with R² of 0.46 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.46 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 5.32%
- Beta
- -0.23
- R²
- 0.46
- Upside Capture
- -4.59%
- Downside Capture
- -30.99%
Return for Risk
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Dividends
Dividend yield
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the HL US RISK MITIGATION. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the HL US RISK MITIGATION was 11.54%, occurring on Nov 4, 2008. Recovery took 12 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -11.54% | Oct 13, 2008 | 17 | Nov 4, 2008 | 12 | Nov 20, 2008 | 29 |
| -10.16% | Mar 10, 2009 | 159 | Oct 22, 2009 | 451 | Aug 8, 2011 | 610 |
| -9.36% | Aug 9, 2011 | 915 | Mar 30, 2015 | 939 | Dec 19, 2018 | 1854 |
| -7.33% | Mar 24, 2020 | 481 | Feb 16, 2022 | 58 | May 11, 2022 | 539 |
| -7.21% | Nov 21, 2008 | 35 | Jan 13, 2009 | 37 | Mar 9, 2009 | 72 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Asset Correlations Table
| Benchmark | Portfolio | |
|---|---|---|
| Benchmark | 1.00 | -0.33 |
| Portfolio | -0.33 | 1.00 |